Order Imbalance, Liquidity, and Returns of the U.S. Treasury Market
Year of publication: |
2012
|
---|---|
Authors: | Wang, Junbo ; Wu, Chunchi ; Yu, Eden S. H. |
Published in: |
Review of Pacific Basin Financial Markets and Policies (RPBFMP). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6705. - Vol. 15.2012, 02, p. 1250010-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Order imbalances | liquidity | volatility | commonality in order imbalances | liquidity spillover |
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